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st: Hausman and 2SLS


From   Claude Francoeur <claude.francoeur@hec.ca>
To   statalist@hsphsun2.harvard.edu
Subject   st: Hausman and 2SLS
Date   Wed, 28 Nov 2007 07:39:24 -0500

Hello,

I suspect endogeneity between "ad" and "roa" in the regression below. First, I would like to test for endogeneity. Second, I want to perform a 2SLS to get valid estimates. Apparently, the following commands should work, but Stata generates an error. Can you tell me what is wrong with my syntax (logic)?

ivreg ad pse bonus leverage roa pricebook beta lnsize blockown (roa = pse
bonus leverage pricebook beta lnsize ); hausman, save;

regress ad pse bonus leverage roa pricebook beta lnsize blockown; hausman,
constant sigmamore;


Thanks,

Claude




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